Description Usage Arguments Value Examples
View source: R/ghfd_build_lob.R
Building LOB (limit order book) from orders
1 | ghfd_build_lob(df.orders, silent = TRUE)
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df.orders |
A dataframe, output from ghfd_GetHFData |
silent |
Should the function print progress ? (TRUE (default) or FALSE) |
A dataframe with information about LOB
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | ## Not run:
library(GetHFData)
first.time <- '11:00:00'
last.time <- '17:00:00'
first.date <- as.Date('2015-11-03')
last.date <- as.Date('2015-11-03')
type.output <- 'raw'
type.data <- 'orders'
type.market = 'equity-odds'
df.out <- ghfd_get_HF_data(my.assets =my.assets,
type.market = type.market,
type.data = type.data,
first.date = first.date,
last.date = last.date,
first.time = first.time,
last.time = last.time,
type.output = type.output)
df.lob <- ghfd_build_lob(df.out)
## End(Not run)
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